Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 2 | 2 |
| Score | -1.52 | -3.33 | -3.76 |
| Market Cap (Millions USD) | 1101.19 | 1229.33 | 1067.71 |
| Predicted Beta | 0.31 | 0.3 | 0.31 |
| Idiosyncratic Volatility | 1.05 | 0.98 | 1.35 |
Annualized return and volatility
| EWQ | |
|---|---|
| Annualized Return | 0.0361 |
| Annualized Std Dev | 0.2519 |
| Annualized Sharpe (Rf=0%) | 0.1435 |
Row
Daily Return Statistics
| EWQ | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1134 |
| Quartile 1 | -0.0069 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0081 |
| Maximum | 0.1308 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0159 |
| Skewness | -0.0515 |
| Kurtosis | 6.8630 |
Downside Risk
| EWQ | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.6141 |
| Historical VaR (95%) | -0.0248 |
| Historical ES (95%) | -0.0379 |
| Modified VaR (95%) | -0.0239 |
| Modified ES (95%) | -0.0376 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-13 | 2009-03-09 | 2017-06-02 | -0.6141 | 2534 | 427 | 2107 |
| 2000-06-15 | 2003-03-12 | 2005-03-04 | -0.5283 | 1207 | 700 | 507 |
| 2018-01-29 | 2018-12-24 | 2019-12-13 | -0.2230 | 482 | 233 | 249 |
| 2000-03-06 | 2000-05-22 | 2000-06-02 | -0.1298 | 64 | 56 | 8 |
| 2006-05-10 | 2006-06-13 | 2006-09-28 | -0.1277 | 100 | 24 | 76 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWQ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 2.2 | 0.7 | 0.0 | 0.7 | 2.2 | 0.0 | -0.9 | 4.0 | 0.0 | 0.3 | 0.8 | 0.0 | 10.4 |
| 2001 | -1.6 | -0.2 | 0.0 | 1.1 | -0.2 | 0.0 | 1.9 | 0.0 | 0.1 | 1.7 | 0.0 | 0.0 | 2.8 |
| 2002 | -0.2 | 0.4 | 1.2 | -1.6 | 0.0 | -1.0 | -3.8 | 0.0 | 3.8 | 1.0 | 0.0 | 0.0 | -0.6 |
| 2003 | 0.0 | 0.0 | 1.4 | -0.9 | 0.0 | -1.2 | -1.8 | 0.0 | 2.4 | 0.0 | 1.3 | 0.0 | 1.2 |
| 2004 | 0.0 | 0.7 | 1.5 | 0.0 | -0.1 | -1.4 | 0.0 | 0.5 | 2.5 | 0.0 | 1.4 | 0.0 | 5.1 |
| 2005 | 0.4 | -0.2 | 0.1 | 0.0 | -0.4 | -0.7 | 1.0 | 1.8 | 0.0 | 0.2 | 1.5 | 0.0 | 3.7 |
| 2006 | 0.1 | 1.2 | 0.0 | -0.8 | 0.9 | 0.0 | -0.6 | 0.3 | 0.0 | 0.0 | -1.2 | 0.0 | -0.2 |
| 2007 | 0.6 | -1.6 | 0.0 | -0.3 | 0.6 | 0.0 | 0.1 | 0.0 | 1.6 | -2.6 | 0.0 | 0.0 | -1.5 |
| 2008 | 1.8 | 0.0 | 3.2 | 0.9 | 0.0 | -0.7 | -1.5 | 0.0 | -0.4 | 0.0 | -8.1 | 0.0 | -5.1 |
| 2009 | 0.0 | 0.0 | 1.7 | 2.3 | 1.9 | 2.2 | 0.0 | -3.1 | -3.7 | 0.0 | 2.3 | 0.0 | 3.4 |
| 2010 | 2.2 | 0.6 | 2.0 | 0.0 | -1.7 | 1.8 | 0.0 | 4.7 | 0.7 | -0.7 | 3.2 | 0.0 | 13.5 |
| 2011 | 2.7 | -1.6 | 1.2 | 0.0 | -2.7 | 0.9 | -2.0 | -1.5 | 0.0 | -5.7 | -0.9 | 0.0 | -9.4 |
| 2012 | 1.9 | 1.3 | 0.0 | 0.8 | -2.7 | 0.0 | 0.3 | 0.0 | 1.7 | 1.3 | 0.0 | 0.0 | 4.5 |
| 2013 | 2.2 | -0.4 | -0.6 | -1.1 | 0.0 | 1.1 | 1.2 | 0.0 | 1.2 | -0.8 | 0.0 | 0.0 | 2.9 |
| 2014 | 0.0 | 0.0 | 1.0 | 0.2 | 0.0 | 0.5 | -0.5 | 0.0 | -1.2 | 0.0 | 0.1 | 0.0 | 0.2 |
| 2015 | 0.0 | 0.0 | 1.1 | 1.3 | -0.3 | 0.7 | 0.0 | -2.4 | 0.0 | 0.0 | 0.4 | 0.0 | 0.7 |
| 2016 | 0.0 | 2.6 | -0.9 | 0.0 | 0.0 | 0.1 | -1.0 | 1.0 | 0.0 | -0.4 | 0.0 | 0.0 | 1.2 |
| 2017 | 0.2 | 1.3 | 0.0 | 0.4 | 0.9 | 0.0 | 0.4 | 0.3 | 0.0 | -0.1 | -0.6 | 0.0 | 2.9 |
| 2018 | 0.5 | -0.7 | 0.0 | -0.3 | 0.8 | 0.0 | -0.5 | 0.0 | -0.1 | 1.2 | 0.0 | 0.0 | 0.8 |
| 2019 | 0.4 | 0.8 | 1.2 | -0.6 | 0.0 | 0.1 | -0.5 | 0.0 | -1.2 | 0.6 | 0.0 | -0.2 | 0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
